estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector …, led to a temporary 7 basis-point decline in sovereign bond yields on the day of purchase. This impact estimate is well …

the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

-à-vis domestic bonds. This paper studies the effect of this jurisdiction choice on bond prices. We test whether foreign-law bonds …

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …) segmentation (convenience) premium. Identification is achieved by considering sovereign bond yields jointly with other rates … implementing bond purchases, the E.U.’s fiscal policy announcements lowered yields more uniformly …

We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in … changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good …